基金风格漂移对股价崩盘风险的影响研究--来自中国创业板市场的分析

Research on the Influence of Fund Style Drift on the Risk of Stock Price Crash--Analysis from China's Growth Enterprise Market

在新冠肺炎疫情冲击下,国内外经济承压,企业部门的股价崩盘风险上升,关乎金融稳定与中小投资者保护。在中国多层次资本市场的建设过程中,机构投资者对股价崩盘风险的影响越发强烈。本文以2011~2020年中国创业板市场股票为研究对象,研究基金风格漂移对股价崩盘风险的影响机制。研究发现:①基金风格漂移会增加股价崩盘风险;②基金风格漂移对国有企业股价崩盘风险的影响更小;③基金风格漂移会通过企业的杠杆率对企业的股价崩盘风险产生间接影响。

Under the impact of the COVID-19,domestic and foreign economies are under pressure,and the risk of stock price collapse in the enterprise sector is rising,which is related to financial stability and the protection of small and medium-sized investors.In the process of building China's multi-level capital market,the influence of institutional investors on the risk of stock price collapse is becoming more and more intense.This paper studies the impact of fund style drift on the risk of stock price collapse in 2010-2020 by taking the China's growth enterprise market as the research object.The study found that:①fund style drift increases the risk of stock price collapse,②fund style drift has a lower impact on the risk of stock price collapse of state-owned enterprises,③fund style drift will have an indirect impact on the risk of stock price collapse through the leverage of enterprises.